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The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.

23 votes

What is the intuition behind cointegration?

Two time series $X_1$ and $X_2$ are cointegrated if a linear combination $aX_1+bX_2$ is stationary i.e. it has constant mean, standard deviation and autocorrelation function for some $a$ and $b$. In …
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